Quantitative Finance, Volume 2, Issue 6 (2002)

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Quantitative Finance, Volume 2, Issue 6 (2002)

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Comment and analysis

Dedication brings success through diversity
Harry M Markowitz, president of Harry Markowitz Company; 1990 Nobel Laureate, Economic Sciences; Research Professor of Economics at University of California San Diego
Vanessa Spedding
Pages: 400-401
Published online: 15 Jul 2010
CitationforDedication brings success through diversity | PDF (1.7 MB)
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Where mathematics, insurance and finance meet
Paul Embrechts
Pages: 402-404
Published online: 15 Jul 2010
First Page PreviewforWhere mathematics, insurance and finance meet | PDF (450.8 KB)
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Molten lava meets market languor
Alessio Sancetta & Steve E Satchell
Page: 405
Published online: 15 Jul 2010
CitationforMolten lava meets market languor | PDF (152.4 KB)
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Article
Debunking efficient markets?
Steve Keen
Pages: 406-407
Published online: 15 Jul 2010
CitationforDebunking efficient markets? | PDF (288.1 KB)
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S&P 500 predictions of Sornette and Zhou
Christian Meister & Hans‐Christian Graf v. Bothmer
Page: 407
Published online: 15 Jul 2010
CitationforS&P 500 predictions of Sornette and Zhou | PDF (162.8 KB)
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How to get rich with Sornette and Zhou
Dietrich Stauffer
Page: 408
Published online: 15 Jul 2010
CitationforHow to get rich with Sornette and Zhou | PDF (126.4 KB)
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Risk considerations unique to hedge funds
Hilary Till
Pages: 409-411
Published online: 15 Jul 2010
First Page PreviewforRisk considerations unique to hedge funds | PDF (333.8 KB)
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Research papers

Article
A theory of non‐Gaussian option pricing
Lisa Borland
Pages: 415-431
Published online: 15 Jul 2010
AbstractforA theory of non‐Gaussian option pricing | PDF (1.4 MB)
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Article
Pricing of perpetual Bermudan options
S I Boyarchenko & S Z Levendorskii
Pages: 432-442
Published online: 15 Jul 2010
AbstractforPricing of perpetual Bermudan options | PDF (925.3 KB)
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Article
Probability distribution of returns in the Heston model with stochastic volatility
Adrian A Drǎgulescu & Victor M Yakovenko
Pages: 443-453
Published online: 15 Jul 2010
AbstractforProbability distribution of returns in the Heston model with stochastic volatility | References | PDF (1 MB)
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Article
An interest rate model with a Markovian mean reverting level
Robert J Elliott & Rogemar S Mamon
Pages: 454-458
Published online: 15 Jul 2010
AbstractforAn interest rate model with a Markovian mean reverting level | PDF (357.3 KB)
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Article
Consistent pricing and hedging for a modified constant elasticity of variance model
David Heath & Eckhard Platen
Pages: 459-467
Published online: 15 Jul 2010
AbstractforConsistent pricing and hedging for a modified constant elasticity of variance model | PDF (992.3 KB)
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Article
The US 2000‐2002 market descent: How much longer and deeper?
Didier Sornette & Wei‐Xing Zhou
Pages: 468-481
Published online: 15 Jul 2010
AbstractforThe US 2000‐2002 market descent: How much longer and deeper? | PDF (1.5 MB)
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Article
Diversification and generalized tracking errors for correlated non‐normal returns
Mark B Wise & Vineer Bhansali
Pages: 482-486
Published online: 15 Jul 2010
AbstractforDiversification and generalized tracking errors for correlated non‐normal returns | PDF (470.5 KB)
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Article
Stochastic volatility options pricing with wavelets and artificial neural networks
Christopher Zapart
Pages: 487-495
Published online: 15 Jul 2010
AbstractforStochastic volatility options pricing with wavelets and artificial neural networks | PDF (1,020.7 KB)
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Miscellany

Editorial board
Page: ebi
Published online: 15 Jul 2010
CitationforEditorial board | PDF (136.6 KB)
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